ITG Portfolio Optimization System

Advanced portfolio optimization


  • Fast mixed-integer programming solver that handles complex problems with thousands of securities
  • Nonlinear transaction cost modeling, including turnkey support for ITG’s Cost Curves
  • Robust optimization to account for uncertain alpha forecasts and soft constraints to penalize bound breakage
  • Tax management by encouraging, discouraging, and/or constraining gains and losses
  • Flexible long/short portfolio construction, including borrowing cost control and optimal leverage
  • Model active quantitative, passive, hedge fund, pension fund, and taxable separate account portfolios


ITG Portfolio Optimization System® (ITG PORT OPT) is a flexible portfolio construction platform. It helps portfolio managers develop new strategies and solve complex, real-world optimization problems that consider nonlinear transaction costs, taxes, leverage, and return forecast uncertainty, in addition to traditional portfolio optimization goals such as risk and return. Given initial holdings, ITG PORT OPT produces an optimal portfolio, various portfolio statistics, and a trade list that can be sent to trading destinations.

ITG PORT OPT leverages the native Java interface in MATLAB®, enabling users to pass market data and set optimization strategy parameters with well-documented MATLAB functions.


One Liberty Plaza
165 Broadway
New York, NY 10006
Tel: 866-829-5392

Required Products


  • Windows


  • E-mail
  • Fax
  • On-site assistance
  • Telephone
  • Training

Product Type

  • Modeling and Simulation Tools


  • Data Analysis and Statistics


  • Financial Services